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How to compute recursive pdf

  1. Jul 2, 2009 #1

    I have a problem of computing pdf of some random variables. Assuming x1, x2.... xN are some random variables. Now, I know the pdf of x1, which is f(x1). For the pdf of x2, it is given as a function of x1, in this case, how do I compute pdf of x2? Or, rather, how do I generate samples from f(x2)?

    Last edited: Jul 2, 2009
  2. jcsd
  3. Jul 2, 2009 #2
    One way is simply to generate a sample from x1, and compute what it gets transformed to in x2.
  4. Jul 2, 2009 #3
    If you *have* to get the pdf of x2, the easiest way is to use the cumulative distribution and then take the derivative.
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